| 摘要: | 摘 要 社會投資(SRI)或是環境、社會和公司治理 (Environmental, Social, Governance, ESG) 投資愈來愈受到投資大眾及機構法人的認同，企業社會投資的規模日益成長。聯合國與全球大型機構投資人於2005年制定了「聯合國責任投資原則」，將ESG的永續議題，正式納入投資策略之中。本文則將剖析ESG與投資績效報酬的相關性問題。先以四個國家區域FTSE4GOOD系列指數的投資報酬與波動率作一分析。另一方面，針對於經濟因素與ESG等永續因素六項因子（經濟成長率、無風險利率、長短期利差、環境績效指標、社會指標及世界治理指標）為自變數以複迴歸分析來探討四個國家區域的FTSE4GOOD系列指數投資報酬率的相關性及其影響程度。實證研究結果發現FTSE4Good系列的各區域國家的社會責任指數其短中長期報酬率，在2003年至2008年間普遍並未優於一般的標竿指數；以市場的波動來說，FTSE4Good Global以及US與當地標竿指數呈現同向且同幅度的變動；而FTSE4Good Europe對於當地市場標竿指數的敏感性則明顯較高，變動幅度較大；相反地，FTSE4Good Japan對於當地標竿指數雖然呈現同向變動，但波動的幅度則較低於一般的標竿指數，因此，其在社會投資篩選機制下的投資組合其波動略低於一般市場的投資組合。相對於環境與社會因子，企業在公司治理上所需投入實際的成本不高，企業有穩健優良的公司治理可以加強投資人的信心並獲取投資人更有意願投資在該企業的正面回應。在各國家與區域間對於社會責任與股東投資報酬率的相關程度上，研究發現，全球，美國及日本的環境因子與公司治理因子為正相關，僅有歐洲的環境因子為負相關。所有地區的社會因子均為負相關。在顯著的情況下，以全球來說，社會因子相關程度最大，其次為公司治理因子；在歐洲部份，社會因子的負相關程度較環境因子為大。Abstract Under the condition that Social Responsibility Investment (SRI) or Environmental, Social, Governance (ESG) Investment to a large extent is gaining acceptance from investors and institutional investors, the scale of corporate social responsibility investment keeps enlarging. UN and many large-scaled institutional investors worldwide, in 2005, enacted “The Principles for the Responsible Investment (PRI),” which officially classified such sustainable issues as ESG into the investment strategies. The following study examines some relative varieties between ESG and investment performance return. The first procedure starts with analyzing the investment return and volatility of FTSE4GOOD series index. And the other one goes to investigate the relevance and the influence levels of the return on investment (ROI) from FTSE4GOOD series index in four countries by means of running multiple-regression analyses with the independent variables rooted from some economic factors and the six sustainable elements of ESG, consisting of economic growth, risk-free rate of return, yield spread, environmental performance index, human development index, and worldwide governance indicator. The empirical study shows that in terms of FTSE4Good, from 2003 to 2008, Social Responsibility Index of the countries in different areas didn’t lead to better rates of return than ordinary benchmark indexes did. The variation of FTSE4Good Global and US indexes similarly and stably corresponded to the one of the local benchmark indexes; however, the variation of FTSE4Good Europe indexes was quite sensitively linked to the one of the local market benchmark indexes and also unsettled. The variation of FTSE4Good Japan indexes fixed to the one of local benchmark indexes correspondently with less range; hence, the variation of investment portfolios screened by the SRI was more settled than the one of normal investment portfolios. As for the environmental and social elements, they cost companies, in fact, not so much to manipulate governance. With firm governance, corporations can strengthen investors’ confidence and make them more positively willing to invest. As for the relevance between SRI and the rates of return for shareholders, the study showed that the environmental element of the world, USA, Japan appeared to be positive correlated to the element of corporate governance, and in the meantime, the environment element of Europe ended with the negative correlation to the element of corporate governance. It also revealed the negative correlation on the social element in all areas. It went obvious, as considering the whole world, that the level of correlation on the social element turned highest followed by the one on governance element. About Europe, the level of the negative correlation on the social element is higher the one on the environmental element. |
